S&P/TSX Composite Index
S&P/TSX Composite closed down by -0.18% to 20110.0 on 23 January 2021 and +-0.45% on a weekly basis. S&P/TSX Composite momentum was last calculated at +0.0/100 indicating positive momentum. S&P/TSX Composite trend is +75.0/100 indicating a positive trend. S&P/TSX Composite momentum exhaustion is 1.04503 indicating S&P/TSX Composite is oversold.S&P/TSX Composite RSI is 53.0961 .
S&P/TSX Composite Index Chart
S&P/TSX Composite Index Statistics
MacroVar multi-factor statistical models monitor financial factors which are used to analyze and predict the S&P/TSX Composite. Click here to explore the financial factors monitored and their current signals.
Click here to explore the methodology used for estimating the S&P/TSX Composite trading signals presented in the S&P/TSX Composite statistics table.
S&P/TSX Composite closed at 20110.0 on 23 January 2021. S&P/TSX Composite trend was last calculated at +75.0/100 (range: -100 to +100) indicating a positive trend based on MacroVar models. S&P/TSX Composite momentum was last calculated at +0.0/100 (range: -100 to +100) indicating positive momentum. S&P/TSX Composite momentum exhaustion is 1.04503 (normal range: -2.5 to +2.5, overbought values: greater than 2.5, oversold values: less than 2.5) indicating S&P/TSX Composite is oversold and a possible reversal is imminent. S&P/TSX Composite RSI was last calculated at 53.0961. S&P/TSX Composite moving averages were last recorded as follows: 1-month moving average: 17532.1 in an uptrend , 1-quarter moving average: 16858.7 in an uptrend and 1-year moving average: 16016.6 in an uptrend. S&P/TSX Composite annual return was last recorded at None%, daily return was last recorded at -0.18%, and weekly return was last recorded at -0.45%. S&P/TSX Composite histrorical 20-day volatility was last recorded at 7.39528%, S&P/TSX Composite alpha None, S&P/TSX Composite beta None and S&P/TSX Composite maximum drawdown was recorded at None%. MacroVar models monitor S&P/TSX Composite statistics based on historical data since 1970.
S&P/TSX Composite Index News
S&P/TSX Composite Factors
S&P/TSX Composite related Indicators
|Canadian Dollar US Dollar (CAD/USD)||CADUSD||1.26||-1||-1||-1.6968||36.9602||0.73||2.37||2.32||-0.02377|
|Canada 10-Year Bond Yield||CA.10Y||1.22||-0.5||-0.25||-0.24481||42.0376||-5.79||-14.14||-20.31||-0.55997|
|Canada 5-Year Bond Yield||CA.5Y||0.81||-0.5||-0.5||-0.54129||34.4957||-11.09||-14.74||-14.74||-0.7685|
|Canada 2-year bond yield||CA.2Y||0.48||-1||-1||-0.68963||31.5507||5.49||11.63||47.69||-0.87739|
|Canada Yield Curve||CA.YC||0.75||0||0.75||1.33408||52.2334||-10.71||-24.32||-37.81||-6.34831|
|Canada Credit Default Swaps||CDS.Canada||37.8||-0.5||0.5||1.80113||61.3233||0||0||-0.26||0.10909|
Canada Economic Indicators
|balance of trade||-1390||462||-4.00866||-0.22902||1.0||1.0||0.45||2021-05-31|
|bank lending rate||2.45||2.45||0||-0.379747||-1.0||-1.0||0.025||2020-05-30|
|banks balance sheet||7096120||7053360||0.00606236||0.1325||1.0||1.0||0.916667||2020-09-30|
|central bank balance sheet||476713||476164||0.00115296||0.0134614||-1.0||1.0||0.0166667||2021-05-31|
|consumer price index cpi||141||140.3||0.00498931||0.0360029||1.0||1.0||1||2021-05-31|
|core inflation rate||2.8||2.3||0.217391||3||1.0||1.0||1||2021-05-31|
|current account to gdp||-1.9||-2.1||-0.0952381||-5.75||1.0||-1.0||0||2019-02-28|
|deposit interest rate||0.16||0.16||0||0.333333||1.0||1.0||0.716667||2021-05-28|
|foreign direct investment||19620||2482||6.90492||0.19503||1.0||1.0||0.6||2021-01-01|
|foreign exchange reserves||89053||89205||-0.00170394||0.020349||1.0||1.0||0.483333||2021-06-30|
|gdp growth annual||0.3||-3.2||-1.09375||-0.884615||1.0||-1.0||0.266667||2021-01-01|
|gdp growth annualized||5.6||9.3||-0.397849||1.15385||1.0||1.0||0.85||2021-01-01|
|government debt to gdp||117.8||86.8||0.357143||0.732353||1.0||1.0||0||2020-01-31|
|industrial production mom||0.7||-1.5||-1.46667||-1.12963||1.0||1.0||0.5||2021-03-31|
|loans to private sector||456553||470238||-0.0291023||-0.152413||-1.0||-1.0||0.0166667||2021-04-30|
|money supply m0||496802||494586||0.00448052||3.77754||1.0||1.0||0.983333||2021-03-31|
|money supply m1||1500000||1460600||0.0269752||0.264734||1.0||1.0||0.866667||2021-04-30|
|money supply m2||2199730||2182620||0.0078392||0.14678||1.0||1.0||0.833333||2021-04-30|
|money supply m3||2944240||2966080||-0.00736325||0.0452577||1.0||1.0||0.233333||2021-04-30|
|Producer Price Index||113.9||114.4||-0.00437063||0.162245||1.0||1.0||0.983333||2021-06-30|
|retail sales MoM||-5.7||3.6||-2.58333||-0.770161||-1.0||1.0||0.666667||2021-04-30|
|retail sales ex autos||-7.2||4.3||-2.67442||-0.652174||-1.0||1.0||0.666667||2021-04-30|
|youth unemployment rate||13.6||15.9||-0.144654||-0.50365||-1.0||-1.0||0.0166667||2021-06-30|
S&P/TSX Composite Trading Signals
MacroVar estimates the following signals: S&P/TSX Composite momentum, S&P/TSX Composite trend, S&P/TSX Composite oscillator, S&P/TSX Composite RSI and S&P/TSX Composite returns.
S&P/TSX Composite MomentumMomentum trading is used to capture moves in shorter timeframes than trends. Momentum is the relative change occurring in markets. Relative change is different to a trend. A long-term trend can be up but the short-term momentum of a specific market can be 0. If a market moves down and then moves up and then moves back down the net relative change in price is 0. That means momentum is 0. A short-term positive momentum, with a long-term downtrend results in markets with no momentum.
MacroVarS&P/TSX Composite momentum signal ranges from -100 to +100. The S&P/TSX Composite momentum signal is derived as the mean value from 4 calculations for the S&P/TSX Composite. The timeframes monitored are the following: 1 Day (1 trading day), 1 Week (5 trading days), 1 Month (20 trading days), 3 Months (60 trading days)
For each timeframe, the following calculations are performed: 1. S&P/TSX Composite return is calculated for the specific timeframe and 2. if the return calculated is higher than 0, signal value output is 1 else signal value is -1. S&P/TSX momentum signal is the aggregate of the the 4 values. A technical momentum rollover is identified when S&P/TSX Composite momentum signal moves from positive to negative value or vice-versa.
S&P/TSX Composite trendS&P/TSX Composite trend signal ranges from -100 to +100. S&P/TSX Composite trend indicator is the mean value of the 8 calculations described below. The timeframes monitored are the following: 1-month (20 trading days), 3-months (60 trading days), 6-months (125 trading days), 1-year (250 trading days)
For each timeframe, the following calculations are performed: 1. S&P/TSX Composite Closing price vs S&P/TSX Composite moving average (MA) calculation: If S&P/TSX Composite is greater than S&P/TSX Composite MA value is +1, else -1, 2. S&P/TSX Composite Moving average slope calculation: if current S&P/TSX Composite moving average is higher than the previous MA, S&P/TSX Composite upward slope +1, else -1
S&P/TSX Composite trend model can be used as a trend strength indicator. S&P/TSX Composite trend strength values ranging between +75 and +100 or -75 and -100 show strong trend strength.
A technical trend rollover is identified when S&P/TSX Composite trend strength indicator moves from positive to negative value or vice-versa.
The most important trend indicator
The S&P/TSX Composite 52-week simple moving average and its slope are the most important indicators defining a market’s trend. S&P/TSX Composite is in an uptrend when S&P/TSX Composite price is higher than the 52-week moving average and the S&P/TSX Composite 52-week moving average has an upward slope. If fundamentals of the market have not changed and the moving average slope is still in uptrend, a price drop signifies a market correction and not a change of trend. Traders should watch oscillators like the S&P/TSX Composite oscillator and S&P/TSX Composite RSI to buy the dip and still follow the trend. The moving average slope turn signifies a change of trend.
S&P/TSX Composite oscillatorThe S&P/TSX Composite oscillator estimated by MacroVar is the z-score of the current S&P/TSX Composite price versus S&P/TSX Composite 1-year simple moving average price. The formula for the S&P/TSX Composite oscillator is:
S&P/TSX Composite oscillator = (Current Price – 250 trading days S&P/TSX Composite simple moving average price) / (250 days S&P/TSX Composite price standard deviation)
S&P/TSX Composite oversold conditions
S&P/TSX Composite is oversold when it is subject to a persistent downward pressure due to extreme fund outflows. When the S&P/TSX Composite is oversold it is often due for a rebound. Values of the S&P/TSX Composite oscillator lower than -2.5 signify oversold conditions. It must be noted that the S&P/TSX Composite oscillator must be analyzed ibn conjunction with the rest of S&P/TSX Composite quantitative factors. Traders should pay less attention to overbought or oversold conditions during strong trends. They should pay close attention during counter trends and all combined with the S&P/TSX Composite RSI.
S&P/TSX Composite overbought conditions
S&P/TSX Composite is overbought when it is subject to a persistent upward pressure due to extreme fund inflows. When the S&P/TSX Composite is overbought it is often due for a correction. Values of the S&P/TSX Composite oscillator higher than +2.5 signify overbought conditions. It must be noted that the MacroVar oscillator must be compared to the rest of the S&P/TSX Composite quantitative factors. Traders should pay less attention to overbought or oversold conditions during strong trends. They should pay close attention during counter trends and all combined with the RSI.
S&P/TSX Composite RSI indicatorThe RSI indicator measures the speed and change of price movements. The RSI indicator oscillates between 0 and 100. RSI is a useful indicator during normal trending market conditions when an asset price oscillates around its trend value. During big moves and strong trends however, like short squeezes or price spikes RSI and other oscillators don’t work.
During normal trend market conditions and when S&P/TSX Composite is in a downtrend RSI values between 50-60 signify overbought conditions before the downtrend is ready to resume. During S&P/TSX Composite uptrend, RSI values of 40 to 50 signify oversold conditions before the uptrend is ready to resume. It is strongly not recommended to enter a position when the RSI is “overbought” and falling or vice versa.
S&P/TSX Composite returnsMacroVar calculates S&P/TSX Composite returns for the following timeframes: Daily, Weekly, Monthly, Yearly. The formula for calculating returns is:
S&P/TSX Composite returns = (S&P/TSX Composite Closing Price – S&P/TSX Composite Previous Price)/(S&P/TSX Composite Previous Price)